OmniVest User Forums
User-Created Portfolios
Conditional Experiments
41 replies, 4015 viewings
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OmniVest User Forums
User-Created Portfolios
Conditional Experiments
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Last Activity 7/22/2015 8:11 AM 41 replies, 4015 viewings |
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Mark Holstius Elite    Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL  User Profile |
I've really done a very little amount of work with the Conditions settings (less than an hour), so that's what has me excited. First, I added a condition concerning the slope of the equity curve and used the "eyeball" technique to pick 6 strategies from the list; This morning I decided to try adding a 7th strategy ("eyeball" again); And just as I was leaving for a while I tried combining it with some Portfolios I've used before that use no conditions (more "eyeball" work); Sorry, but my previous post had a very incorrect CALMAR on it I came up with in my rush to leave... but this demonstrates the improvement gained by staying fully invested (what Steve & Ed have been emphasizing all along). I'm thoroughly amazed at what I've been able to do in a short amount of time - and this is just "manually flying" the machine. Imagine what we'll do when it's upgraded with a programmable autopilot!!! Thanks for implementing such a great concept Ed (and staff)! Mark [Edited by Mark Holstius on 5/6/2014 11:08 AM]  Attached file : My Third Condition Test.jpg (278KB - 1522 downloads) Attached file : My Fourth Condition Test.jpg (277KB - 1485 downloads) Attached file : My Fifth Condition Test.jpg (274KB - 1487 downloads) | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
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| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
The Condition filter goes a long way toward cutting off low-performing equity so that it can be reallocated to a better performing strat/port. But, Port Balancer should do that even better. :-) | ||
| Bruce Britt Regular Posts: 81 Joined: 10/11/2012 Location: Louisiana User Profile |
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| Geoff Veteran Posts: 180 Joined: 12/4/2012 Location: Byron Bay NSW Australia User Profile |
When you say you "added a condition concerning the equity curve", was that one of the 'canned' conditions or did you add your own condition to the list? If it was your own, can you give details or a general overview of how it operates? [Edited by Geoff on 5/7/2014 12:07 AM] | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Some good areas I've found so far - try equity slope conditions and sorting the results by % Wins to choose which Strategies you like and want to save. This morning I was concentrating on increasing the CALMAR without regard to the Avg % Invested and got some great results. A year ago Ed said that getting a CALMAR >6 was good, so I tried for >10. Lately, I've been trying to stretch that to >20. Well, with these Condition capabilities everything's changed... CALMAR > 40? Incredibly, Yes. Next target >50...??? (Never thought I'd say that) Now I'm looking forward to being able to "Hard Switch" the strategies... Amazing stuff, Ed!!! [Edited by Mark Holstius on 5/8/2014 12:09 PM] Attached file : Max CALMAR.jpg (267KB - 1239 downloads) | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
I don't mean to do that, or create that impression - I'm just playing around with the capabilities Ed gave us here. Please don't take it that way... No exports to spreadsheets and massaging (I'm not not as talented there as Steve) and no fancy multi-step formulas (not as talented there as Jim). I'm just using the capabilities in the Strategy Lab to sort and pick strategies and then putting them into portfolios. Soooo.... I took my own challenge and added 2 more strategies over lunch (bringing it to 9 in 2013) and got a CALMAR of 51.0. I really didn't think that was possible. Nothing extravagant or esoteric - and I know this is curve fitting on a bull market. But, I suspect this sort of portfolio building and then switching will take things to another level... Thanks again, Ed & staff! Mark [Edited by Mark Holstius on 5/8/2014 1:52 PM] Attached file : Max CALMAR 2.jpg (268KB - 1201 downloads) | ||
| JimB Member Posts: 36 Joined: 3/7/2014 Location: Rogers, MN User Profile |
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| Jim Dean Elite  Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
http://www.omnitrader.com/currentclients/omnivestforum/thread-view.asp?threadid=6157 | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Like I said - nowhere near as talented as you on that stuff! I've put it in my Evernote folder and will definitely look thru it and try it. Unfortunately, I'm out of time today... Thanks, Mark | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
That's an amazing graph my friend! PS: You are still only at 102% invested -- looks like there's room for some more strats there. How do I coax you into shooting for a one-year Calmar of 100? he he! | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Mark | ||
| Jim Dean Elite Posts: 1059 Joined: 10/11/2012 Location: L'ville, GA User Profile |
JUST IN CASE there are some readers that aren't really understanding the "curve fitting" effect ... it's probably useful to make a few comments about it to put this into perspective. First, as Mark mentioned, he is testing during a clearly bullish year. So, things are gonna look rosy, to some degree or another, just throwing darts blindfolded. (Well, maybe without the blindfold, and only a couple of feet away ;~) Second, he is presenting (afaik) the chart that covers the SAME year that he used for developing the combo. That is, the combo is specifically tuned to that year. The important question is, of course ... is that tuning "representative" of "all bullish years" ... and, as a companion note ... how does one know about the bullish year, BEFORE the year begins? If in fact the combo that Mark has come up with provides good generalized performance, and is not heavily dependent on "specialized" conditions that would not normally repeat in other bullish periods, then that portfolio can be quite valuable. The trick is the second question above ... how do we know a bullish year, before (and during) that year ... that is, how do we know to USE this wonder-bull porfolio, and to KEEP using it, via some kind of conditional test. One possible way is to develop "Market State" formulae, but I've rambled on enough about that in other places. Another exciting approach is the upcoming Portfolio Balancer. That is, IF that portfolio is sufficiently "generic", then since it's performance seems to be a pretty straight line with consistent small proportionate wiggles, it's reasonable to assume that the "Calmar RATE" would show up for that portfolio early-on in a 2013-bullish-type year ... and PortBal would switch us over to jump onto the rocketship. ===== The "classic" way to test/verify the general usefulness of this combo of strategies is to identify several independent bullish periods of time, and develop *separate* portfolios, each "sort of tuned" to the different periods. Then, STOP developing them (no more changes allowed!), and test each of them on all the OTHER bullish periods, besides the ones that they were developed on. The set of strats that holds up the best for the other segments is the one to use! ======== So ... Mark's work IS really exciting to see (he's got the magic touch at picking out strat's). What will be even neater to find out, is if he could take the port as it stands, then find a few other "bullish years", and rerun it in those time windows, to see how well it works. Thanks, Mark! [Edited by Jim Dean on 5/8/2014 2:27 PM] | ||
| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
In Mark's thread here and the one he challenged me to do (that's sadly not getting anywhere near the same attention! LOL) I think we have both been clear that we are simply exploring what's possible, and having a little fun challenging each other while we wait for Port Switcher....these experiments are not intended to be used for actual trading (yet?). We're just excited about the new condition and hard entry/exit filters for strat building....because these are the building blocks for the forthcoming PortSwitcher as well! Adding to Jim's point, before I would actually trade this not only would I first test it over lots of different timeframes, I would also do a whole bunch of metrics to see how robust this "system" really is. What's the standard deviation and how much does it change in different markets? What's the distribution of the daily returns? How many wins and losses in a row and is that consistent with what should be expected given the hit rate? Are the individual strats and the overall system generating enough trades to be statistically sound? If I change a setting such as the sorting (or switch-out a strat or 2), do I get comparable results? How many symbols are actually being traded versus how many are in the trading pool? etc., etc. There's some fantastically talented people using OV that know much more about such stuff than me...but if I can find the time, I'll try to show how to do some of this in a future post. Meanwhile, I'm certain Nirvana is working hard to build some of those things into the next release. | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
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| Steve Mayo Legend Posts: 414 Joined: 10/11/2012 Location: Austin, TX User Profile |
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| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
Here are the results with the same set of 7 strategies in 2013 using both sets of settings; Settings are really an individual preference, but I hope that helps. Be sure to try different ones on the same account to see the differences and decide what you like... Mark [Edited by Mark Holstius on 5/8/2014 7:24 PM] Attached file : 2 Settings.jpg (752KB - 1109 downloads) | ||
| John W Elite Posts: 654 Joined: 10/11/2012 Location: Sydney, NSW, Australia User Profile |
This brings up another interesting issue that I've been trying to lock down for some time without solution. Changing the Settings can cause significant performance differences, beautifully illustrated by you in this post. The question is: In the new OV Pro feature set is there a place for having (say 3 or 5) user defined settings and using the best equity curve combo? Or using the machine to come up with the best Settings in combination with the new OV feature set. | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
My suggestion would be to get a portfolio or account you like and then change 1 setting at a time up & down in value to see what it affects & decide what you like - then keep that. The settings do make a BIG difference... And, now we have a pretty much infinite set of variables to play with in the Strat Lab too. Not to worry - I think everyone will be able to build great portfolios using the tools Ed's coming out with sometime in the near future. Mark | ||
| JimB Member Posts: 36 Joined: 3/7/2014 Location: Rogers, MN User Profile |
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| kmcintyre Elite Posts: 890 Joined: 10/11/2012 Location: Portland, OR User Profile |
Thank you for your continued research and willingness to take the time to post your findings. Using "LRSlope and eyeball" has served me well when picking a portfolio of mutual funds (as previously posted). To clarify, Mark, you used the canned strategies and only changed the condition used to enable trading the strategy long/short. No equity conditions(?). No conditions on external symbols/indexes(?) No custom DLs(?). So what I'm hoping is that the Port Wiz will allow me to solve for an OScript formula. Say one that uses LRSlope and Calmar (or some other measure of tradability). This will allow codifying the "LRSlope and eyeball" technique. A difference between what you're doing and what Port Wiz would do (I think) is - you're looking at each strategy separately, picking good ones (regardless of interaction with other strategies), then reporting on the portfolio performance. Port Wiz would use a similar "LRSlope with eyeball" criteria, but pick strategies based on combined performance. I.E. "LRSlope with eyeball" on the portfolio itself. I'm hoping this produces good results with less work. (I'm hoping we get the tools to try it too...) But I can see that manually tweaking a condition for each canned strategy prior to running Port Wiz would (could) further enhance returns. Building the best portfolio of the best "tuned" strategies... As a senior citizen, time is becoming an increasingly valuable commodity. (Do I spend man-months experimenting with OV or do I spend the time RVing, visiting kids and grandkids, packing life into life?) Tools that allow me to work smarter are highly desirable to me. And it sounds like they are right around the corner! Mark, your work give me great hope for V3. I can't wait to give it a go! Cheers Keith | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
But, in the meantime my OCD side tried playing some more today with what's available on the site now. No exporting to excel and massaging, no custom DLs, no conditions on external symbols / indexes. Just the canned conditions Ed has provided and one simple one concerning equity slope I did that really hasn't added much to the mix. Not "bragging" - just trying to show the capabilities Ed's given us. Here's what I was able to build today with NO portfolio switching - just one portfolio with about 20 strategies 1/1/2007 - 1/1/2014 (my "trading" settings noted previously in this thread on both); I can only dream of what we'll be able to do once we can hard switch the entries and exits at the strategy level. Once again - great stuff Ed! Mark [Edited by Mark Holstius on 5/9/2014 8:23 PM] Attached file : Portfolio today.jpg (561KB - 966 downloads) | ||
| Geoff Veteran Posts: 180 Joined: 12/4/2012 Location: Byron Bay NSW Australia User Profile |
Like everyone else, I have been watching OV developments closely these last couple of months in particular, especially regarding port switching etc... Can you clarify one thing for me if you would? I think I know what 'hard switching' is, but after searching the forums, I haven't been able to actually find a definition; could you clarify please? | ||
| Mark Holstius Elite Posts: 744 Joined: 10/11/2012 Location: Sleepy Hollow, IL User Profile |
AFAIK - Ed's planning on adding the ability to not just stop entering trades when a condition triggers it (say an X day MA falls below a Y day MA), but to exit any open trades in that strategy the next morning at whatever the current price is. ("Hard Sell"). The "Hard Buy" (AFAIK) is more difficult in that when the condition signals a return to the market, any trades that would've been in force in the strategy had you not stopped trading could then be entered (at the price the next morning) and carried to their normal exit rules. My understanding is that the default would be the current "just stop buying when the signal is triggered and resume new trades when it allows" - but that the "hard" exit and entry rules will be an option. Maybe one will be helpful and the other not. Won't know until we try... pretty interesting concept and capability though. Hope that makes sense - it's not something that's ever been done (AFAIK), and should be really interesting... Mark |
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